Factor copula model for portfolio credit risk (Q5010074)
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scientific article; zbMATH DE number 7384602
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Factor copula model for portfolio credit risk |
scientific article; zbMATH DE number 7384602 |
Statements
FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK (English)
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24 August 2021
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normal tempered stable distribution
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factor copula model
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collateralized debt obligation
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credit derivatives
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0.8001216053962708
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0.7898593544960022
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0.7856268286705017
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0.7847403287887573
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0.7790845632553101
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